Can you provide more detail please?
Is this happening when you try to save the Project file? (.CP file) Or is this happening when you try to Publish and create the SWF/EXE?
Where exactly are you trying to save the file? Is the project on your local C drive or is it on a network location? (You should consider it a best practice to always save projects on the C drive)
Helpful and Handy Links
I figured out my mistake. I was creating a software simulation. When the Save Project Files box appeared, I was deleting the assessment, training and custom file names from the box, and it did not know what to call those files. Now I realize if I specify in the automatic recording dialog that I only want a demonstration, it will save that one file.